The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
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- A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
- A pathwise approach to backward and forward stochastic differential equations on the poisson space*
- A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations
- Anticipative calculus for Lévy processes and stochastic differential equations*
- Chaotic and predictable representations for Lévy processes.
- Forward, backward and symmetric stochastic integration
- On Extended Stochastic Intervals
- On the existence of smooth densities for jump processes
- Processes of normal inverse Gaussian type
- Stochastic calculus with anticipating integrands
- The Malliavin calculus for pure jump processes and applications to local time
Cited in
(24)- Optimal investment in markets with over and under-reaction to information
- Pricing of claims in discrete time with partial information
- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- Generalized Cox model for default times
- The Gaussian free field and SLE\(_{4}\) on doubly connected domains
- Stability and Strong Convergence for Spatial Stochastic Kinetics
- The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
- Solving stochastic optimal control problems by a Wiener chaos approach
- The generalized Itô-Venttsel' formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral
- Derivative formulae for stochastic differential equations driven by Poisson random measures
- Utilizing topological data analysis for studying signals of time-delay systems
- A duopoly preemption game with two alternative stochastic investment choices
- Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
- Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
- Stochastic differential games in insider markets via Malliavin calculus
- An Itô formula for domain-valued processes driven by stochastic flows
- An ergodic BSDE risk representation in a jump-diffusion framework
- Optimal hedging for fund and insurance managers with partially observable investment flows
- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Local spectral statistics of the addition of random matrices
- Dynamic utility and related nonlinear SPDEs driven by Lévy noise
- A ``direct method to prove the generalized Itô-Venttsel' formula for a generalized stochastic differential equation
- A pathwise approach to backward and forward stochastic differential equations on the poisson space*
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
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